I fitted relays to my car a while ago, in fact I actually fitted a second fuse box in the front compartment as well although you don't need one just for headlight relays.
I took the main power lead from the back of the ammeter, same gauge wiring as the other brown leads there. That feeds the second fuse box although in your case it could simply feed directly to the relays. I took the lead from the back of the dash underneath the front luggage compartment (where the handbrake and windscreen washer stuff goes) and on to the auxiliary fuse box/relays.
If you're unhappy taking from the ammeter then you could take a feed directly from the battery but it would need to be a hefty gauge as it's a long run. You could either feed through the chassis central tunnel but it would need to be firmly out of the way and well insulated against vibration/rubbing or alternatively through the cabin using the same holes that the existing loom does. That's some dismantling and why I made up leads to go from the ammeter instead.
That's the hardest part. As John says the existing loom wiring for headlamp "on" goes to the relays, then you make up some more leads for earth/dip/main output from the relays. The diagram shows how mine goes together, I can take pictures later if that would be more helpful.
Brian
Edit to add photo showing the rat's nest of wiring in the front. Power feed (Brown) comes from the ammeter through the existing access hole which the washer tubing goes through. All relays have a common earth. I think (note think, it was some time ago

) that I left the loom mostly un-touched and made up additional short sections in the correct colours for the relays. Main/Dip/Rad. Fan are now individually fused (with a spare for when I get around to fitting that Flux Capacitor...)